FX/Commodities Model Validation Lead FX/Commodities Model Validation Lead …

Credit Suisse
in London, United Kingdom
Permanent, Full time
Last application, 28 Feb 21
Competitive
Credit Suisse
in London, United Kingdom
Permanent, Full time
Last application, 28 Feb 21
Competitive
Credit Suisse
FX/Commodities Model Validation Lead
Credit Suisse is a leading global wealth manager with strong investment banking capabilities. Headquartered in Zurich, Switzerland, we have a global reach with operations in about 50 countries and employ more than 45,000 people from over 150 different nations. Embodying entrepreneurial spirit, Credit Suisse delivers holistic financial solutions to our clients, including innovative products and specially tailored advice. Striving for quality and excellence in our work, we recognize and reward extraordinary performance among our employees, provide wide-ranging training and development opportunities, and benefit from a diverse range of perspectives to create value for our clients, shareholders and communities. We are Credit Suisse.

We Offer
The Chief Risk and Compliance Officer function is a highly visible, dynamic area where you can be an integral part of the decision-making that supports the bank's business. We drive strategic and sustainable returns, and offer risk, controls and regulatory advice. You will be part of a team that is renowned for its fast-paced, collaborative and diverse work environment. We believe our colleagues are our best asset.
A department which values Diversity and Inclusion (D&I) and is committed to realizing the firm's D&I ambition which is an integral part of our global Conduct and Ethics Standards.
  • The Model Risk Management (MRM) team has a mandate to review and approve the models used in the bank in order to make sure that the risk due to the model limitations and assumptions is properly managed and mitigated.
  • As lead of the FX and Commodities team, you will focus on the validation of the pricing and VaR models for the FX and Commodities business. The models in scope cover a wide variety of products (FX vanilla, exotics, commodities products).
  • As a senior model validator, you will manage independent validation reviews performed by yourself or more junior team member covering the following:
    • Review the mathematical foundation of the model, assessing the correctness of the model equations and theory.
    • Develop alternative benchmarks, design backtesting or other methodologies to test the conceptual soundness model assumptions.
    • Assess if the model is implemented correctly, via independent re-implementation of the model in spreadsheets or coding language (Python, C#, F#, C++...).
    • Test the model sensitivity to changes to the inputs and stability.
  • Liaise with the other business partners within the Firm, including Front Office Quants, Trading, Market Risk, Product Control for the model validation process and for the approval of new trades; in addition, you will represent the team in the governance forums.
  • We offer the opportunity to join a team, with established presence in London, Zurich, Mumbai, Singapore, Warsaw, Hong Kong and New York. We are a team located globally that values diversity and partnership.
Open to discussing flexible/agile working.

You Offer
  • Extensive experience in quantitative modelling for FX or Commodities, as a model validator, front office quant or similar roles.
  • Hold a Masters or PhD in a quantitative field, e.g. Mathematics, Physics, Engineering, Finance, Economics or equivalent working experience.
  • Demonstrate sound understanding of at least one of the following topics: Statistics, Stochastic Calculus, Numerical Analysis, and/or Derivative Pricing.
  • Results-oriented individual with outstanding attention to details and have a partnering mind-set.
  • Practical approach to problem solving and the ability to explain complex topics to a broad range of audiences.
  • Good programming experience is a plus (such as R, Python, C++, C#).
You understand the value of diversity in the workplace and are dedicated to fostering an inclusive culture in all aspects of working life so that people from all backgrounds receive equal treatment, realize their full potential and can bring their full, authentic selves to work.
Credit Suisse is committed to providing equal employment opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.

Credit Suisse is committed to providing equal opportunities, regardless of ethnicity, nationality, gender, sexual orientation, gender identity, religion, age, civil partnership, marital or family status, pregnancy, disability or any other status that is protected as a matter of local law.
Credit Suisse is an equal opportunity employer. Welcoming diversity gives us a competitive advantage in the global marketplace and drives our success
Credit Suisse logo
More Jobs Like This
See more jobs
Close
Loading...
Loading...